Purpose

To investigate the complex relationship between inflation, inflation uncertainty and equity returns.

Design/methodology/approach

This paper uses a bivariate VARMA, GARCH-in-mean, asymmetric BEKK model to investigate the relationship between inflation, inflation uncertainty and equity returns.

Findings

Using monthly inflation and equity returns data for the G7 and EM7 economies, we find that the effects of inflation and inflation uncertainty on equity returns vary across countries.

Research limitations/implications

The mixed evidence we find potentially reflects the changing dynamics, policy regimes, economic shocks and country-specific factors (such as differences in the financing patterns of enterprises and the legal and financial environments) across the G7 and EM7 countries.

Practical implications

We contribute to the empirical literature in the following ways. First, we rely on a wide sample of countries, including both developed and emerging economies. Second, we extend previous research by estimating a GARCH-in-mean model of monthly equity returns in which both realized returns and their conditional volatility are allowed to vary with inflation. Previous articles that studied the relationship between inflation and stock market returns generally sought time-invariant effects of inflation on stock returns.

Social implications

The paper helps to reconcile the divergent results of previous empirical studies and distinguish between alternative explanations of the relationship between inflation and equity returns.

Originality/value

Our study provides an improved comprehension of the ambiguous relationship between inflation, inflation uncertainty and equity returns under various central bank mandates and different levels of central bank independence. The mixed empirical evidence across countries we present provides insights for the macroeconomic models that consider the relationship between uncertainty and macroeconomic performance as a fundamental building block. Therefore, our empirical study calls for further work on the relationship between inflation, inflation uncertainty and equity returns.

中文翻译：

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通货膨胀与股票回报之间的复杂关系

目的

研究通货膨胀、通货膨胀不确定性和股票收益之间的复杂关系。

设计/方法/方法

本文使用双变量 VARMA、GARCH-in-mean、非对称 BEKK 模型来研究通货膨胀、通货膨胀不确定性和股票收益之间的关系。

发现

使用 G7 和 EM7 经济体的月度通胀和股票回报数据，我们发现通胀和通胀不确定性对股票回报的影响因国家而异。

研究限制/影响

我们发现的混合证据可能反映了 G7 和 EM7 国家不断变化的动态、政策制度、经济冲击和国家特定因素（例如企业融资模式以及法律和金融环境的差异）。

实际影响

我们通过以下方式为实证文献做出贡献。首先，我们依赖于广泛的国家样本，包括发达经济体和新兴经济体。其次，我们通过估计月股票收益的 GARCH 均值模型来扩展先前的研究，其中允许已实现收益及其条件波动率随通货膨胀而变化。以前研究通货膨胀与股票市场回报之间关系的文章通常寻求通货膨胀对股票回报的时间不变影响。

社会影响

该论文有助于调和先前实证研究的不同结果，并区分对通货膨胀与股票收益之间关系的其他解释。

原创性/价值

我们的研究让我们更好地理解了在不同中央银行授权和不同中央银行独立性下通胀、通胀不确定性和股票回报之间的模糊关系。我们提供的各国混合经验证据为宏观经济模型提供了见解，这些模型将不确定性与宏观经济表现之间的关系视为基本构建块。因此，我们的实证研究呼吁进一步研究通胀、通胀不确定性和股票收益之间的关系。